Is there a way to 'drive' lamps, similar to how you can 'drive' and control a camera in first person?
A quirk of Blender is that you can actually set any object to be the 'camera' and use the WASD movement controls while in Fly mode. 


Select the object (e.g. a lamp) and press Ctrl+Numpad 0 to set it to be the camera. You will now be looking through the object like you would a camera object.
Press Shift+F to enter Fly mode and navigate freely.


The downside of this is that you will then have to reassign the actual camera as the scene's active camera afterwards (if you intend to render anything) either by selecting it and pressing Ctrl+Numpad 0 or by selecting it in the Scene panel in the Scene tab of the Properties Editor: